zabuxx/binwsskline

Use Binance WSS stream to store local candlestick DB

BinWSSKline

Use Binance WSS stream to store local custom candlestick DB with arbitrary lengths (up to 1s)

This C++ program subscribes to the Binance Web Socket Stream to update a local database with candlestick data for all actively traded spot market pairs.

Dependencies

Required packages:

• PostgreSQL
• Boost >= 1.73

Usage instructions

Install necessary Packagess (Fedora/CentOS):

# dnf install cmake g++ clang
# dnf install openssl-devel boost-devel libpqxx-devel
# dnf install postgresql-server

Compile:

(myuser)$ git clone https://github.com/zabuxx/BinWSSKline.git
(myuser)$ cd BinWSSKline/
(myuser)$ mkdir build
(myuser)$ cd build
(myuser)$ cmake ..
(myuser)$ make

Prepare database:

(postgres)$ pg_ctl init
(postgres)$ pg_ctl start
(postgres)$ createuser myuser
(postgres)$ createdb exchange -O myuser
(myuser)$ cat SQL/create_table.sql | psql exchange

Run:

(myuser)$ ./build/src/WSKline -c prodnet.cfg -v5

Output

The output is written to the configured database in the table kline. You can use this table for your TI calculations.

 exchange=> select * from kline where symbol =  'ETHBTC' order by tstamp;
   tstamp   | symbol |   open    |    min    |    max    |   close   
------------+--------+-----------+-----------+-----------+-----------
1641410814 | ETHBTC |  0.081152 | 0.0811485 |  0.081152 | 0.0811485
1641410824 | ETHBTC | 0.0811485 | 0.0811485 |  0.081161 | 0.0811555
1641410834 | ETHBTC | 0.0811555 | 0.0811535 | 0.0811625 | 0.0811585
1641410844 | ETHBTC | 0.0811585 | 0.0811565 | 0.0811635 | 0.0811565
1641410854 | ETHBTC | 0.0811565 | 0.0811555 | 0.0811645 | 0.0811645
1641410864 | ETHBTC | 0.0811645 | 0.0811645 | 0.0811835 | 0.0811815
(6 rows)

Configuration

Configuration happens with the config files, the syntax should be self-explaining

psql=postgresql:///exchange
logfile=/tmp/BinWSSKline-testnet.log
logfile-lvl=5
perf_detail=true

[binance]
api=api.binance.com
wss=stream.binance.com
wssport=9443

[kline]
cycle_time=2   # kline span in seconds

Only tested on Fedora, but using on other platforms should be easy.